Relative efficiency of maximum likelihood and other estimators in a nonlinear regression model with small measurement errors

We compare the asymptotic covariance matrix of the ML estimator in a nonlinear measurement error model to the asymptotic covariance matrices of the CS and SQS estimators studied in Kukush et al (2002). For small measurement error variances they are equal up to the order of the measurement error variance and thus nearly equally efficient.

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Year of publication:	2004
Authors:	Kukush, Alexander ; Schneeweiss, Hans
Publisher:	München : Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen
Subject:	Measurement Errors \| Maximum Likelihood \| Efficiency \| Small Error Variance

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Series:	Discussion Paper ; 396
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	10.5282/ubm/epub.1766 [DOI] 484038613 [GVK] hdl:10419/31031 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010266158